Borsa İstanbul ile Türkiye’nin Yüksek Dış Ticaret Hacmine Sahip Ülke Borsalarının Entegrasyonu: Rejim Kaymalı Eşbütünleşme Analizinden Bulgular
Integration of BIST and Stock Exchanges of Countries Having High Foreign Trade Volumes with Turkey: Empirical Evidence from Regime Shift Cointegration Analysis

Summary/Abstract: Purpose – The aim of this study is to examine the existence of a cointegration relationship under structural breaks, between Turkey and stock indices of seven countries that has a key impact over Turkey's foreign trade. Design/methodology/approach – Long term relationship between Turkey and the seven countries stock indexes for January 2000-May 2019 period is examined by Lee and Strazicich (2003) two structural breaks unit root test and Hatami-J (2008) cointegration test. Findings – According to Dickey-Fuller (ADF; 1981), Phillips-Perron (PP; 1988) and Lee and Strazicich (2003) unit root test results, the degree of integration of the series was determined as I(1). Hatemi-J (2008) cointegration test with two structural breaks shows that there is a long-term relationship between BIST100 and DAX 30, FTSE 100, IMOEX, CAC 40 and S&P 500, while there is no long-term relationship wtih FTMIB and IBEX 35.

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